THE IMPACT OF COVID-19 PARTIAL LOCKDOWN ON STOCK RETURN PERFORMANCE: EVIDENCE FROM LQ45 Arranged by: AGATHA CHRISTY PURNAMA DEWI SID : 161222728 Study Program : Business and Economics Major : International Business Management UNIVERSITAS ATMA JAYA YOGYAKARTA FACULTY OF BUSINESS AND ECONOMICS 2021

DEWI, AGATHA CHRISTY PURNAMA (2021) THE IMPACT OF COVID-19 PARTIAL LOCKDOWN ON STOCK RETURN PERFORMANCE: EVIDENCE FROM LQ45 Arranged by: AGATHA CHRISTY PURNAMA DEWI SID : 161222728 Study Program : Business and Economics Major : International Business Management UNIVERSITAS ATMA JAYA YOGYAKARTA FACULTY OF BUSINESS AND ECONOMICS 2021. S1 thesis, UNIVERSITAS ATMA JAYA YOGYAKARTA.

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Abstract

The purpose of this research is to explore the effects of the Covid-19 outbreak and its following partial lockdown on daily stock returns in Indonesia, a fast-growing emerging market that successfully revived after the partial pandemic lockdown. This research uses One-way ANOVA and The Wilcoxon Test to evaluate the daily increase in the number of covid-19 confirmed cases before partial lockdown, during partial lockdown, and after the partial lockdown on the daily stock returns of LQ45 listed firm in IDX, the daily stock data start from February 3, 2020 until July 30, 2020. The research confirms the daily increase in the number of confirmed COVID- 19 cases negatively impacted stock returns. COVID-19 pre-lockdown also had a significant, negative association with Indonesia’s stock returns. In other words, the COVID-19 pandemic surprisingly affected Indonesia’s stock return.

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